Using probit analyses,this paper identifies those risk factors that have an influence on the occurrence of debt rescheduling for five Asian countries that were badly hit by the Asian financial crisis of 1997～1998. Our results indicate that the real growth of GDP,the ratio of public debt to GDP,the amortization rate and changes in the real exchange rate were among the important factors that characterize the probability of debt rescheduling in Indonesia, Malaysia,the Philippines, South Korea, and Thailand for 1980～2001. Our investigation also reveals the limitations of using probit analyses to study country risk.
本文采用2001年11月到2005年6月国内原油价格的调度数据,运用基于GED分布的GARCH模型度量了国内油市的极端上涨和极端下跌时的VaR,得到如下两点结论:第一,国内油市存在ARCH in Mean效应,表明收益与风险是正相关的,同时也意味着国内油市违背了有效市场假说,进一步的分析表明国内原油的定价机制和流通体制是造成市场非有效的主要原因;第二,上涨风险的平均水平要高于下跌风险的平均水平,这是石油市场供需双方的非对称市场地位决定的,石油生产者可以利用市场势力和上下游一体化的组织形式,将部分下跌风险转嫁给石油需求者,而石油需求者则缺少有效的措施来应对油价上涨。
